A stochastic volatility model with Generalized Inverse Gaussian steady state is made tractable via a measure change to a polynomial diffusion, enabling fast option pricing with orthogonal polynomials.
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A lognormal type stochastic volatility model with quadratic drift
A stochastic volatility model with Generalized Inverse Gaussian steady state is made tractable via a measure change to a polynomial diffusion, enabling fast option pricing with orthogonal polynomials.